Numerical methods for stochastic Volterra integral equations with weakly singular kernels

DOI10.1093/IMANUM/DRAB047MaRDI QIDQ5093121zbMATH OpenOpenAlexFDO

Authors Min Li, Chengming Huang, Yaozhong Hu

Publication date 26 July 2022

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.04916

zbMATH Keywords

\(\Theta\)-Euler-Maruyama schemeMilstein-type schemestochastic Volterra integral equations with weakly singular kernelstrong convergence rate

Mathematics Subject Classification ID

Volterra integral equations (45D05) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(41)

• Lévy-driven stochastic Volterra integral equations with doubly singular kernels: existence, uniqueness, and a fast EM method
• Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
• Stochastic Volterra integral equations with doubly singular kernels and their numerical solutions
• Improved \(\vartheta\)-methods for stochastic Volterra integral equations
• Discrete-time simulation of stochastic Volterra equations
• Numerical analysis of the balanced methods for stochastic Volterra integro-differential equations
• Fast Euler-Maruyama method for weakly singular stochastic Volterra integral equations with variable exponent
• Fast -Maruyama scheme for stochastic Volterra integral equations of convolution type: mean-square stability and strong convergence analysis
• Approximate representations of solutions to SVIEs, and an application to numerical analysis
• On the Discrete-Time Simulation of the Rough Heston Model
• A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
• Cubature Method for Stochastic Volterra Integral Equations
• Singular stochastic Volterra integral equations with Mittag–Leffler kernels: well-posedness and strong convergence of θ-Maruyama method
• Error distribution of the Euler approximation scheme for stochastic Volterra equations
• Weakly singular Volterra integral equation with combined logarithmic-power-law kernel: analytical and computational consideration
• Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
• A novel numerical approach based on shifted second‐kind Chebyshev polynomials for solving stochastic Itô–Volterra integral equation of Abel type with weakly singular kernel
• Some types of Carathéodory scheme for Caputo stochastic fractional differential equations in \(L^p\) spaces
• Double weakly singular kernels in stochastic Volterra integral equations with application to the rough Heston model
• An explicit Euler scheme for generalized n-dimensional second-order differential equations with initial value conditions driven by additive Gaussian white noises
• Singular backward stochastic Volterra integral equations in infinite dimensional spaces
• Wong-Zakai approximation of stochastic Volterra integral equations
• Mittag-Leffler Euler-Maruyama method for linear stochastic Volterra integral equations with weakly singular kernels
• Reconstruction and prediction of Volterra integral equations driven by Gaussian noise
• Compatibility of collocation error analyses for Volterra integral equations with smooth and weakly singular kernels
• Enhancing the Euler-Maruyama integrator via a balancing strategy for stochastic Volterra integral equations
• Numerical methods for studying neuronal dynamics in the stochastic fractional Hodgkin-Huxley model
• A limit order book model for high frequency trading with rough volatility
• Mean square stability of numerical method for stochastic Volterra integral equations with double weakly singular kernels
• Limit error distributions of Milstein scheme for stochastic Volterra equations with singular kernels
• Strong convergence of an implicit Euler-Maruyama scheme for Caputo stochastic fractional delay differential equations
• Well-posedness, regularity of solutions and the -Euler-Maruyama scheme for stochastic Volterra integral equations with general singular kernels and jumps
• Euler-Maruyama schemes for Caputo stochastic fractional delay differential equations
• Convergence of the -Euler-Maruyama method for a class of stochastic Volterra integro-differential equations
• The randomized Milstein scheme for stochastic Volterra integral equations with weakly singular kernels
• Strong convergence of Lévy-driven mixed stochastic integro-differential equations with application to the rough mixed volatility models
• An Euler-Maruyama method for Caputo-Hadamard fractional stochastic differential equations on exponential meshes and its fast approximation
• Split-step integrator for generalized stochastic Volterra integro-differential equations
• Asymptotic separation between solutions and fast -Euler-Maruyama scheme for singular stochastic Volterra integral equations with jumps
• Milstein convolution quadrature approximation to stochastic semilinear Volterra integro-differential equations
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels

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